1. NCCU Academic Hub
  2. 學術產出
  3. 社會科學學院
  4. 學位論文
  5. Item

學術產出-學位論文

文章檢視/開啟

書目匯出

Google ScholarTM

政大圖書館

引文資訊

TAIR相關學術產出

題名 非線型動態模型檢定與在總體經濟模型之應用
作者 莊委桐
ZHUANG, WEI-TONG
貢獻者 毛維凌
MAO, WEI-LING
莊委桐
ZHUANG, WEI-TONG
關鍵詞 檢定
動態模型
日期 1992
1991
上傳時間 2-五月-2016 17:11:40 (UTC+8)
參考文獻 林和 譯(1991)混沌:不測風雲的背後，天下文化
Ashley, R. and Patterson, D. (1985) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." Economics Department Working Paper No.85-12-01,
Virginia polytechnic Institute.
Ashley, R. and Patterson, D. (1989) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." International Economic Review Vol.30 ,No.3. pp.685-704.
Bala, V. & Majumdar, M. (1990) "Chaos in the Discrete-Time Tatonnement Process" Working Paper #431 , Cornell University.
Barnett, W. & Chen, P. (1987)"The Aggregation-theoretic Monetary Aggregates are Chaotic and have Strange Attractors" in Barnett, Berndt & White eds. Dynamic Econometric Modelling, Cambridge University Press.
Barnett, W. & Choi, S. (1988) "A Comparison Between the Convensional Econometric Approach to Structural Inference and the Nonparametric Chaotic Attractor Approach." In Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity, Proceedings of the Fourth International Symposium in Economic Theory
and Econometrics, W. Barnett, J. Gewekw, and K. Shell, Eds. Cambridge: Cambridge Univ. Press.
Brock, W., Dechert, W. & Scheinkman, J.(1987) "A Test for Independence Based on the Correlation Dimension." Department of Economics, Univ. of Wisconsin-Madison, Univ. of Houston, and Univ. of Chicago.
Brock, W. & Sayers, C. (1988) "Is the Business Cycle Characterized by Deterministic Chaos", JL. of Monetary Economics, 22, pp.71-90.
Brock, W. & Beak, E.(1991) "Some Theory of Statistical Inference for Nonlinear Science" Review of Economic Studies, 58, pp.697-716.
Chen, P. (1988) "Empirical and Theoretical Evidence of Economic Chaos" , System Dynamics Review, Vol. 4, pp.81-108.
Day, Richard (1982) "Irregular Growth Cycles" The American Economic Review, vol.72, No.3, pp.406-14.
Day, R. & Lin, T. (1991) "An Adaptive Neoclassical Models of Growth Fluctuations" In Dimitri ed., Alternative Approaches to Macroeconomics , Oxford University Press.
Diebold, F. & Rudebusch, G. (1991) "Is Consumptions too Smooth ? Long Memory and the Deaton Paradox" The Reviews of Economics and Statistics, 1, PP.1-9.
Eckmann, J. & Ruelle, D. (1985) "Ergodic Theory of Chaos and Strange Attractors", Reviews of Modern Physics, 57, pp.617-56.
Eckmann, J., Kamphorst, S., Ruelle, D. & Giliberto, S. (1986) "Lyapunov Exponent for Time Series." Physical Review A, vol.34, pp.4971-9.
Gabisch & Lorenz (1989) Business Cycle Theory Springer-Verlag.
George, .Donald (1988) Mathematical Modelling .for Economists, Macmillan Press, London.
Gershenfeld, N. (1988) "An Experimentalist`s Introduction to the Observation of Dynamical
Systems" in Direction in Chaos,vol.2, ed. by Hao Bai-Lin, pp.310 - 84.
Goodwin, R. (1951) "The Nonlinear Accelerator and the Persistence of Business Cycles", Econometrica , 19:1, pp.78-92.
Grandmont, J.M. (1985) "On Endogenous Competitive Business Cycle" Econometrica, pp.995-1045.
Grassberger, P. & Procaccia, I. (1983) "Estimation of the Kol" mogorov Entropy from a Chaotic Signal", Physical Review A,vol.28, pp.2591-3
Hicks, J. (1950) A Contribution to the Theory of the Trade Cycle, Oxford: Oxford University Press
Hsieh, D. & LeBaron, B. (1988) "Finite Sample Properties of the BDS statistic I : Distribution under the Null Hypothesis." Gradute School of Business aand Department of Economics. The University of Chicago.
Raldor, N. (1940) "A Model of the Trade Cycle" Economic Journal, 50:1, pp.78-92
Liu, T., ·Granger, C. & Heller, W. (1991) "Using the Correlation Exponent to Decide if an Economic Series Is Chaotic" Discusion Paper #91-21,Dept. of Economics U. of California
Lorenz, Hans - Walter (1987) "Strange Attractors in a Multisector Business Cycle Model." Journal of Economic Behavior and Organization 8, pp.397-411.
Medio, A.(1991) "Continuous - time Models of Choas in Economics" Journal of Economic Behavior and Organization 16, pp.115 - 151.
Nickell, S. & Wadhwani, S. (1990) "Insider Forces and Wage Determination" The Economic Journal, 100, pp.496-509.
Ohno, K.(1990) "Exchange Rate Fluctuation, Pass-Through ,and Market Share" International Monetary Fund, vol. 37, No.2, pp.294-310.
Ott . E. (1981) "Strange Attractors and Chaotic Motions of Dynamical Systems" , Reviews of Modern Physics 53: pp.655-71.
Ruelle, O. & Takens, F. (1971) On the Nature of Turbulence, Communications in Math . Physics, 20, pp.167- 92.
Scheinkman (1990) "Nonlinearity in Economic Dynamics" Economic Journal, 100, pp.33 - 48.
Schuster, H. (1984) Deterministic Chaos, Physik- Verlag. Takens, F . (1981) Lecture Notes on Math. 898, Springer , Heidelberg- New York.
Varian,. H. (1979) "Catastrophe Theory and Business Cycle" Economic Inquiry, pp.14 - 28.
Wolf, A., Swift, J., Swinney, H. & Vastano, J . (1985) "Determining Lyapunov Exponents From A Time Series", Physica, 16D, pp.285 – 317.
描述 碩士
國立政治大學
經濟學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004711
資料類型 thesis
dc.contributor.advisor 毛維凌zh_TW
dc.contributor.advisor MAO, WEI-LINGen_US
dc.contributor.author (作者) 莊委桐zh_TW
dc.contributor.author (作者) ZHUANG, WEI-TONGen_US
dc.creator (作者) 莊委桐zh_TW
dc.creator (作者) ZHUANG, WEI-TONGen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-五月-2016 17:11:40 (UTC+8)-
dc.date.available 2-五月-2016 17:11:40 (UTC+8)-
dc.date.issued (上傳時間) 2-五月-2016 17:11:40 (UTC+8)-
dc.identifier (其他 識別碼) B2002004711en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89871-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description.tableofcontents 第一章引言..........1

第二章DETERMINISTIC CHAOS 基本概念之釐清..........4
第2.1 節混沌的特性..........4
第2.2 節分岔、劇變與磁滯..........8

第三章應用範例與討論..........12
第3.1 節應用範例..........12
第3.2 節實證檢定之難題..........18

第四章STRANGE ATTRACTOR 檢定之理論探討..........21
第4.1 節三種檢定原理說明..........21
第4.2 節三種檢定原理之關聯性..........27

第五章實驗設計..........35
（一）CORRELATION DIMENSION..........36
（二）LYAPUNOV EXPONENT..........38
（三）KOLMOGOROV ENTROPY..........39

第六章檢定結果說明..........42
（一）CORRELATION DIMENSION..........42
（二）LYAPUNOV EXPONENT..........50
（三）KOLMOGOROV ENTROPY..........55
（四）綜合說明..........59

第七章結論..........66		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004711en_US
dc.subject (關鍵詞) 檢定zh_TW
dc.subject (關鍵詞) 動態模型zh_TW
dc.title (題名) 非線型動態模型檢定與在總體經濟模型之應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 林和 譯(1991)混沌:不測風雲的背後，天下文化
Ashley, R. and Patterson, D. (1985) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." Economics Department Working Paper No.85-12-01,
Virginia polytechnic Institute.
Ashley, R. and Patterson, D. (1989) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." International Economic Review Vol.30 ,No.3. pp.685-704.
Bala, V. & Majumdar, M. (1990) "Chaos in the Discrete-Time Tatonnement Process" Working Paper #431 , Cornell University.
Barnett, W. & Chen, P. (1987)"The Aggregation-theoretic Monetary Aggregates are Chaotic and have Strange Attractors" in Barnett, Berndt & White eds. Dynamic Econometric Modelling, Cambridge University Press.
Barnett, W. & Choi, S. (1988) "A Comparison Between the Convensional Econometric Approach to Structural Inference and the Nonparametric Chaotic Attractor Approach." In Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity, Proceedings of the Fourth International Symposium in Economic Theory
and Econometrics, W. Barnett, J. Gewekw, and K. Shell, Eds. Cambridge: Cambridge Univ. Press.
Brock, W., Dechert, W. & Scheinkman, J.(1987) "A Test for Independence Based on the Correlation Dimension." Department of Economics, Univ. of Wisconsin-Madison, Univ. of Houston, and Univ. of Chicago.
Brock, W. & Sayers, C. (1988) "Is the Business Cycle Characterized by Deterministic Chaos", JL. of Monetary Economics, 22, pp.71-90.
Brock, W. & Beak, E.(1991) "Some Theory of Statistical Inference for Nonlinear Science" Review of Economic Studies, 58, pp.697-716.
Chen, P. (1988) "Empirical and Theoretical Evidence of Economic Chaos" , System Dynamics Review, Vol. 4, pp.81-108.
Day, Richard (1982) "Irregular Growth Cycles" The American Economic Review, vol.72, No.3, pp.406-14.
Day, R. & Lin, T. (1991) "An Adaptive Neoclassical Models of Growth Fluctuations" In Dimitri ed., Alternative Approaches to Macroeconomics , Oxford University Press.
Diebold, F. & Rudebusch, G. (1991) "Is Consumptions too Smooth ? Long Memory and the Deaton Paradox" The Reviews of Economics and Statistics, 1, PP.1-9.
Eckmann, J. & Ruelle, D. (1985) "Ergodic Theory of Chaos and Strange Attractors", Reviews of Modern Physics, 57, pp.617-56.
Eckmann, J., Kamphorst, S., Ruelle, D. & Giliberto, S. (1986) "Lyapunov Exponent for Time Series." Physical Review A, vol.34, pp.4971-9.
Gabisch & Lorenz (1989) Business Cycle Theory Springer-Verlag.
George, .Donald (1988) Mathematical Modelling .for Economists, Macmillan Press, London.
Gershenfeld, N. (1988) "An Experimentalist`s Introduction to the Observation of Dynamical
Systems" in Direction in Chaos,vol.2, ed. by Hao Bai-Lin, pp.310 - 84.
Goodwin, R. (1951) "The Nonlinear Accelerator and the Persistence of Business Cycles", Econometrica , 19:1, pp.78-92.
Grandmont, J.M. (1985) "On Endogenous Competitive Business Cycle" Econometrica, pp.995-1045.
Grassberger, P. & Procaccia, I. (1983) "Estimation of the Kol" mogorov Entropy from a Chaotic Signal", Physical Review A,vol.28, pp.2591-3
Hicks, J. (1950) A Contribution to the Theory of the Trade Cycle, Oxford: Oxford University Press
Hsieh, D. & LeBaron, B. (1988) "Finite Sample Properties of the BDS statistic I : Distribution under the Null Hypothesis." Gradute School of Business aand Department of Economics. The University of Chicago.
Raldor, N. (1940) "A Model of the Trade Cycle" Economic Journal, 50:1, pp.78-92
Liu, T., ·Granger, C. & Heller, W. (1991) "Using the Correlation Exponent to Decide if an Economic Series Is Chaotic" Discusion Paper #91-21,Dept. of Economics U. of California
Lorenz, Hans - Walter (1987) "Strange Attractors in a Multisector Business Cycle Model." Journal of Economic Behavior and Organization 8, pp.397-411.
Medio, A.(1991) "Continuous - time Models of Choas in Economics" Journal of Economic Behavior and Organization 16, pp.115 - 151.
Nickell, S. & Wadhwani, S. (1990) "Insider Forces and Wage Determination" The Economic Journal, 100, pp.496-509.
Ohno, K.(1990) "Exchange Rate Fluctuation, Pass-Through ,and Market Share" International Monetary Fund, vol. 37, No.2, pp.294-310.
Ott . E. (1981) "Strange Attractors and Chaotic Motions of Dynamical Systems" , Reviews of Modern Physics 53: pp.655-71.
Ruelle, O. & Takens, F. (1971) On the Nature of Turbulence, Communications in Math . Physics, 20, pp.167- 92.
Scheinkman (1990) "Nonlinearity in Economic Dynamics" Economic Journal, 100, pp.33 - 48.
Schuster, H. (1984) Deterministic Chaos, Physik- Verlag. Takens, F . (1981) Lecture Notes on Math. 898, Springer , Heidelberg- New York.
Varian,. H. (1979) "Catastrophe Theory and Business Cycle" Economic Inquiry, pp.14 - 28.
Wolf, A., Swift, J., Swinney, H. & Vastano, J . (1985) "Determining Lyapunov Exponents From A Time Series", Physica, 16D, pp.285 – 317.		zh_TW